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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"Korrelation"
~subject:"Schätztheorie"
~subject:"Share price"
~subject:"Statistical distribution"
~subject:"Time series analysis"
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Search: subject_exact:"Generalized autoregressive conditional heteroscedasticity"
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Korrelation
Schätztheorie
Share price
Statistical distribution
Time series analysis
ARCH model
65
ARCH-Modell
65
Volatility
40
Volatilität
40
Theorie
28
Theory
28
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23
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Engle, Robert F.
3
Chen, Yi-ting
2
Francq, Christian
2
Horváth, Lajos
2
Zakoïan, Jean-Michel
2
Ahoniemi, Katja
1
Audrino, Francesco
1
Brooks, Chris
1
Burke, Simon P.
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Caldeira, João F.
1
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Christoffersen, Peter F.
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Di, Jianing
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1
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1
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Haag, Berthold R.
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Finance research letters
98
Journal of econometrics
90
Energy economics
85
Applied economics
84
Economic modelling
80
Journal of empirical finance
76
International review of economics & finance : IREF
75
Research in international business and finance
70
Discussion paper / Tinbergen Institute
66
The North American journal of economics and finance : a journal of financial economics studies
64
International review of financial analysis
63
International journal of forecasting
57
Journal of international financial markets, institutions & money
55
Economics letters
53
Journal of banking & finance
53
Journal of risk and financial management : JRFM
53
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
48
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
47
Journal of forecasting
46
Econometric theory
44
Applied economics letters
43
International Journal of Energy Economics and Policy : IJEEP
37
The European journal of finance
31
Working paper
30
CREATES research paper
29
International journal of economics and financial issues : IJEFI
29
Econometric reviews
27
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
27
Computational economics
26
Econometric Institute research papers
26
Journal of financial econometrics
26
Applied financial economics
23
International journal of finance & economics : IJFE
23
Review of quantitative finance and accounting
23
The econometrics journal
23
Journal of risk
22
CORE discussion papers : DP
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Cogent economics & finance
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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ECONIS (ZBW)
40
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1
Can volatility models explain extreme events?
Trapin, Luca
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
2
,
pp. 297-315
Persistent link: https://www.econbiz.de/10011987768
Saved in:
2
Structural volatility impulse response function and asymptotic inference
Liu, Xiaochun
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
2
,
pp. 316-339
Persistent link: https://www.econbiz.de/10011987769
Saved in:
3
Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.
;
Moura, Guilherme Valle
;
Nogales, …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
Saved in:
4
Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models
Gagliardini, Patrick
;
Ghysels, Eric
;
Rubin, M.
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 509-560
Persistent link: https://www.econbiz.de/10011987633
Saved in:
5
Real-Time GARCH
Smetanina, Ekaterina
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 561-601
Persistent link: https://www.econbiz.de/10011987644
Saved in:
6
Overnight news and daily equity trading risk limits
Ahoniemi, Katja
;
Fuertes, Ana María
;
Olmo, Jose
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 525-551
Persistent link: https://www.econbiz.de/10011623670
Saved in:
7
Exceedance correlation tests for financial returns
Chen, Yi-ting
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 581-616
Persistent link: https://www.econbiz.de/10011623694
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8
Dynamic conditional beta
Engle, Robert F.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
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9
Component-wise representations of long-memory models and volatility prediction
Proietti, Tommaso
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 668-692
Persistent link: https://www.econbiz.de/10011623820
Saved in:
10
Variance targeting estimation of multivariate GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
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